Modelling – The Economics, Tech, Health and Culture Remix (beta)

The effectiveness of large-scale asset purchases

October 16, 2018 Bilal 0

The effectiveness of large-scale asset purchases https://ift.tt/2Eeb89V Central banks in the US, Europe, and Japan purchased many trillions of dollars of assets in an effort to hold down their interest rates and stimulate their economies. The Fed described these operations as ‘large-scale asset purchases’, and they were often referred to in the business press as ‘quantitative easing’ (QE). In the US, asset purchases were implemented in three phases between 2009 and 2014, commonly labelled QE1, QE2, and QE3. What did these purchases accomplish? Figure 1 Federal Reserve holdings of securities, 19 November 2008 to 27 December 2017 Notes: Sum of Federal […]

The Pricing of FX Forward Contracts: Micro Evidence from Banks’ Dollar Hedging

October 16, 2018 Bilal 0

The Pricing of FX Forward Contracts: Micro Evidence from Banks’ Dollar Hedging https://ift.tt/2INEVER The mechanisms that the authors identify are directly relevant to the current policy debate concerning global funding markets and the procyclicality of the U.S. dollar with respect to the broader financial markets and the real economy. In particular, they show that when a shock affects one segment of the funding market it is transmitted to broader financial markets in ways that are shaped by global banks’ foreign-exchange management, including their dollar-hedging behaviors and direct FX funding structures. These findings have important implications for financial-stability-risk monitoring, systemic risk, […]

Beyond spreads: Measuring sovereign market stress in the euro area

October 16, 2018 Bilal 0

Beyond spreads: Measuring sovereign market stress in the euro area https://ift.tt/2QUOMeT JavaScript is disabled on your browser. Please enable JavaScript to use all the features on this page. Beyond spreads: Measuring sovereign market stress in the euro area☆ Abstract We develop a novel composite indicator to measure sovereign bond market stress in the euro area. The indicator integrates yield and liquidity spreads along with volatility into an overall measure of sovereign market stress. An application to the spillover literature suggests that stress mainly originates from a few countries, but that spillover patterns also vary over time. JEL classification C43 E44 […]

IMF Fiscal Monitor: Managing Public Wealth, October 2018

October 16, 2018 Bilal 0

IMF Fiscal Monitor: Managing Public Wealth, October 2018 https://ift.tt/2pDJSHV Back to Top Managing Public Wealth Public sector balance sheets bring together the entirety of what the state owns and owes, offering a broader fiscal picture beyond debt and deficits. Once governments understand the size and nature of public assets, they can start managing them more effectively, raising considerable additional revenue. Also, public sector balance sheet analysis allows for better risk management and policymaking. The Fiscal Monitor provides governments the tools to analyze the resilience of public finances. By identifying risks within the balance sheet, governments can act to manage or mitigate […]

InoueRossiRevised2018.pdf

September 19, 2018 Bilal 0

InoueRossiRevised2018.pdf https://ift.tt/2PS8qbb Publish via Google Docs September 19, 2018 at 08:30PM https://ift.tt/2PS8qbb

Factor Model w Time-Varying Loadings

September 2, 2018 Bilal 0

Factor Model w Time-Varying Loadings https://ift.tt/2vNra3b Markus Pelger has a nice paper on factor modeling with time-varying loadings in high dimensions. There are many possible applications. He applies it to level-slope-curvature yield-curve models. For me another really interesting application would be measuring connectedness in financial markets, as a way of tracking systemic risk. The Diebold-Yilmaz (DY) connectedness framework is based on a high-dimensional VAR with time-varying coefficients, but not factor structure. An obvious alternative in financial markets, which we used to discuss a lot but never pursued, is factor structure with time-varying loadings, exactly in Pelger! It would seem, however, that any […]